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Should I use a fuse or splice instead relay before the actual switch?
A fuse is not a substitute for a relay; it should be used in addition to a relay to get optimal circuit protection.
There are tons of wiring diagrams out there so no need for me to recreate one here, but in a nutshell:
-Run a new, thick power wire from the battery to the relay (10AWG, 8AWG, etc.)*
-Run a ground to the relay.
-Use the existing headlight power wire from your switch to trigger the relay.
-Add a new wire (14AWG, 16AWG are probably fine) from the relay to the headlights.
-Put a fuse in the new wire between the relay and the headlights.
*if you need power for other accessories, consider running a circuit breaker on this power wire, and connect it to a bus bar-type distribution block so that you can tap in later for additional relays.